Filter for strategy

[Matts]

I've created an automated strategy, backtested it, and forward tested it. It runs quite well, but I would like to filter out some of the bad trades. It's a trending system, so it tends to get stopped out when the market is choppy, and a bit volatile. My idea for a filter is, after x number of losing trades, wait for a breakout from this range, and then resume strategy. One idea I had was placing an OCO order. How can I define the range, say from the close of the last winning trade? Any help would be appreciated. Thanks.

[Baruch]

Hi,
First of all range can't be only from last winning trade it has to have the "To" also. Second if you think to enter two stop orders, long for above and short for below, you can't.

Baruch

[NinjaTrader_Bertrand]

Matts, for ideas how to use performance statistics in the strategy those are good samples -

http://www.ninjatrader-support2.com/vb/showthread.php?t=19289

http://www.ninjatrader-support2.com/vb/showthread.php?t=4804

http://www.ninjatrader-support2.com/vb/showthread.php?t=4084

[Matts]

Thanks Bertrand. I've tried to develop some code to work into the strategy based on performance. I decided to that on execution if there were 7 consecutive losing trades, wait for a new high or low breakout.

OnExecution()
if(Performance.AllTrades.TradesPerformance.MaxCons ecLoser < 7)

Next step I will exit current position to be flat.

Then I set some new entry conditions, but this would need to be OnBarUpdate(). I'm not sure how to do this, a subroutine? After the order is executed I would like to revert back to the original strategy. Also not sure how to do this.

[NinjaTrader_Bertrand]

You could work with the Performance class in the OnBarUpdate(), too. I suggest you check into this sample here, as it offers ideas for halting and restarting your strategy upon hitting your conditions - http://www.ninjatrader-support2.com/...ead.php?t=4804